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Number of items: 2.
Article
Cantia, Catalin and Tunaru, Radu (2016) A factor model for joint default probabilities, pricing of CDS, index swaps and index tranches. Insurance: Mathematics and Economics, 72 . pp. 21-35. ISSN 0167-6687. (doi:https://doi.org/10.1016/j.insmatheco.2016.10.004) (Full text available) |
Thesis
Cantia, Catalin (2016) Lévy Factor Models for Financial Applications. Doctor of Philosophy (PhD) thesis, University of Kent,. (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) |